@robkas,
That's pretty much it, but you can also right-click on the newly installed HDD in the explorer and choose Format. Make sure there's no jumper conflict between the HDD and any optical drives.
@DiverDave,
Pretty much all IDE cables come with 3 connectors--one for the motherboard end, and two for the devices. The two grouped closer together than the other go to the drives. Again, you'll need to pay attention to the jumpers if you attach two IDE devices to a single cable--one has to be the master, the other the slave.
You might consider buying a $15-20 external USB2 enclosure and putting your 40GB drive in it--the performance will be a bit slower but it's good to have backups in a different physical location than the computer.